model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …

standard inference from least-squares estimation of a suitably adjusted predictive regression. We analyze US and international … present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five …